Frontera Eficiente

0.060
0.050
0.040
0.030

Retorno

0.020
0.010
0.000
3.800

3.900

4.000

4.100

4.200

-0.010
-0.020
-0.030
-0.040
Riesgo

4.300

4.400

4.500

4.600

4.700

Retorno Promedio
Var-Cov
Activo 1
Activo 2
Activo 3

w'Mw

Riesgo Portafolio
Retorno Portafolio
Ponderadores
Activo 1
Activo 2
Activo 3

0.05

-0.17
Activo 2
Activo 3
21.5
8.89
8.89
22.76
11.61
11.63

-0.1

Activo 1

4.600
0.047
1
0.9825
0.0000
0.0175

11.61
11.63
23.92

Tabla de Resultados
Riesgo Portafolio
Retorno Portafolio
Ponderadores
Activo 1
Activo 2
Activo 3

3.900
-0.030
1
0.5757
0.2353
0.1890

4.000
-0.013
1
0.6630
0.1729
0.1641

4.100
0.001
1
0.7294
0.1253
0.1453

4.200
0.012
1
0.7859
0.0852
0.1289

4.300
0.022
1
0.8363
0.0494
0.1143

4.400
0.031
1
0.8824
0.0165
0.1012

4.500
0.040
1
0.9315
0.0000
0.0685

4.600
0.047
1
0.9825
0.0000
0.0175

Index

G1O2

Currency

USD

C1C0

Currency

USD

TRR Index Macaulay

Effective
TRR Index Macaulay
Effective
Date
Val USD U Dur
Yield
Val USD U Dur
Yield
1/5/2001
764.304
1.669
4.753
942.285
1.88
6.617
1/12/2001
761.522
1.649
5.039
939.476
1.86
6.871
1/19/2001
764.022
1.63
4.893
941.759
1.839
6.733
1/26/2001
764.33
1.61
4.916
943.034
1.819
6.726
2/2/2001
766.372
1.644
4.798
947.377
1.864
6.373
2/9/2001
767.42
1.625
4.771
948.704
1.845
6.37
2/16/2001
767.318
1.605
4.838
948.416
1.825
6.447
2/23/2001
770.231
1.587
4.651
952.492
1.806
6.27
3/2/2001
771.267
1.692
4.612
954.484
1.858
6.216
3/9/2001
772.373
1.673
4.575
956.664
1.839
6.158
3/16/2001
776.198
1.654
4.32
961.738
1.821
5.923
3/23/2001
777.206
1.635
4.291
962.621
1.802
5.932
3/30/2001
778.19
1.615
4.253
964.75
1.782
5.867
4/6/2001
780.693
1.642
4.1
965.345
1.858
5.856
4/20/2001
780.293
1.602
4.212
965.201
1.82
5.977
4/27/2001
780.311
1.583
4.262
966.667
1.799
5.959
5/4/2001
782.572
1.619
4.144
970.2
1.844
5.59
5/11/2001
780.924
1.599
4.323
968.389
1.824
5.748
5/18/2001
781.805
1.58
4.293
970.374
1.805
5.679
5/25/2001
782.972
1.561
4.246
972.51
1.786
5.617
6/1/2001
784.563
1.684
4.221
975.154
1.866
5.555
6/8/2001
785.571
1.665
4.193
977.202
1.847
5.496
6/15/2001
788.491
1.647
4.016
981.524
1.828
5.309
6/22/2001
790.942
1.628
3.867
984.335
1.81
5.206
6/29/2001
787.338
1.608
4.202
979.784
1.789
5.531
7/6/2001
789.299
1.636
4.113
982.964
1.872
5.456
7/13/2001
790.604
1.618
4.057
985.197
1.853
5.39
7/20/2001
793.159
1.599
3.902
989.205
1.834
5.215
7/27/2001
794.904
1.58
3.811
992.403
1.812
5.085
8/3/2001
795.114
1.612
3.853
993.407
1.886
5.114
8/10/2001
797.892
1.594
3.678
997.854
1.868
4.92
8/17/2001
799.26
1.575
3.611
999.204
1.848
4.895
8/24/2001
798.883
1.556
3.684
998.721
1.826
4.97
8/31/2001
800.873
1.697
3.623
1002.039
1.887
4.881
9/7/2001
803.005
1.679
3.506
1004.64
1.871
4.781
9/14/2001
811.321
1.662
2.915
1011.849
1.853
4.435
9/21/2001
812.131
1.642
2.875
1011.452
1.833
4.483
9/28/2001
813.816
1.624
2.782
1013.577
1.814
4.413
10/5/2001
816.074
1.655
2.66
1016.415
1.88
4.35
10/12/2001
815.324
1.636
2.743
1015.43
1.86
4.448
10/19/2001
816.417
1.617
2.686
1016.693
1.841
4.42
10/26/2001
818.881
1.598
2.523
1019.405
1.822
4.313
11/2/2001
821.208
1.64
2.4
1020.567
1.886
4.349
11/9/2001
821.971
1.621
2.367
1022.545
1.867
4.289
11/16/2001
814.943
1.6
2.913
1013.609
1.845
4.804
11/23/2001
814.315
1.581
2.992
1013.144
1.825
4.869
11/30/2001
819.973
1.729
2.696
1019.944
1.864
4.493
12/7/2001
815.594
1.708
3.032
1015.049
1.843
4.787
12/14/2001
816.89
1.689
2.956
1015.368
1.823
4.794
12/21/2001
817.658
1.67
2.928
1016.077
1.801
4.796

12/28/2001
1/4/2002
1/11/2002
1/18/2002
1/25/2002
2/1/2002
2/8/2002
2/15/2002
2/22/2002
3/1/2002
3/8/2002
3/15/2002
3/22/2002
4/5/2002
4/12/2002
4/19/2002
4/26/2002
5/3/2002
5/10/2002
5/17/2002
5/24/2002
5/31/2002
6/7/2002
6/14/2002
6/21/2002
6/28/2002
7/5/2002
7/12/2002
7/19/2002
7/26/2002
8/2/2002
8/9/2002
8/16/2002
8/23/2002
8/30/2002
9/6/2002
9/13/2002
9/20/2002
9/27/2002
10/4/2002
10/11/2002
10/18/2002
10/25/2002
11/1/2002
11/8/2002
11/15/2002
11/22/2002
11/29/2002
12/6/2002
12/13/2002
12/20/2002
12/27/2002
1/3/2003
1/10/2003

818.677
818.974
824.965
823.52
821.183
822.843
825.152
825.388
825.973
824.252
819.63
819.854
818.832
823.83
825.798
826.882
829.268
830.553
830.968
829.193
831.098
832.821
834.123
837.82
839.056
839.588
840.19
845.008
846.54
850.44
853.221
852.666
850.551
852.046
852.878
854.211
854.723
856.422
858.11
858.966
858.605
855.659
857.74
861.255
860.887
860.052
858.305
859.299
862.006
862.595
864.732
867.301
865.005
865.184

1.651
1.679
1.661
1.642
1.622
1.665
1.646
1.627
1.608
1.7
1.679
1.66
1.64
1.654
1.636
1.616
1.598
1.641
1.621
1.602
1.583
1.705
1.686
1.668
1.649
1.629
1.656
1.638
1.62
1.602
1.642
1.622
1.603
1.584
1.566
1.678
1.659
1.64
1.622
1.65
1.631
1.611
1.592
1.618
1.599
1.579
1.56
1.541
1.666
1.647
1.629
1.61
1.641
1.622

2.88
2.934
2.531
2.672
2.882
2.853
2.72
2.725
2.714
2.957
3.319
3.336
3.457
3.21
3.101
3.051
2.91
2.91
2.912
3.07
2.966
2.976
2.915
2.68
2.624
2.608
2.636
2.324
2.24
1.994
1.859
1.921
2.095
2.016
1.986
1.969
1.96
1.866
1.766
1.733
1.784
2.007
1.876
1.646
1.687
1.763
1.906
1.854
1.766
1.75
1.624
1.461
1.655
1.656

1017.999
1019.316
1027.855
1026.112
1023.824
1022.851
1021.418
1020.747
1019.868
1020.346
1016.623
1018.033
1017.423
1023.757
1026.085
1029.326
1028.615
1025.901
1028.292
1026.037
1031.189
1034.514
1036.123
1039.891
1042.038
1039.061
1039.905
1046.468
1044.887
1041.136
1045.782
1040.962
1039.69
1046.429
1049.255
1051.048
1053.677
1056.909
1057.592
1055.828
1048.011
1043.45
1048.725
1055.765
1060.509
1064.11
1066.054
1067.848
1072.164
1074.693
1079.296
1083.132
1081.169
1083.777

1.782
1.82
1.802
1.782
1.762
1.83
1.811
1.791
1.772
1.834
1.813
1.794
1.774
1.865
1.846
1.827
1.806
1.876
1.856
1.836
1.814
1.912
1.896
1.877
1.858
1.838
1.95
1.934
1.914
1.894
1.966
1.946
1.924
1.906
1.888
1.968
1.949
1.93
1.91
1.951
1.929
1.908
1.889
1.916
1.898
1.878
1.859
1.84
1.91
1.89
1.872
1.854
1.92
1.901

4.739
4.663
4.243
4.377
4.554
4.721
4.855
4.929
5.049
5.143
5.398
5.359
5.461
5.371
5.303
5.176
5.259
5.55
5.482
5.637
5.421
4.97
4.943
4.786
4.721
4.93
4.956
4.665
4.769
4.963
4.703
4.999
5.097
4.825
4.741
4.769
4.696
4.564
4.572
4.66
5.051
5.286
5.079
4.635
4.437
4.286
4.21
4.166
4.025
3.934
3.746
3.602
3.727
3.637

1/17/2003
1/24/2003
1/31/2003
2/7/2003
2/14/2003
2/21/2003
2/28/2003
3/7/2003
3/14/2003

866.601
867.713
867.366
868.929
869.134
869.48
870.983
872.982
871.093

1.603
1.584
1.599
1.58
1.561
1.541
1.641
1.623
1.603

1.578
1.52
1.575
1.481
1.491
1.485
1.435
1.313
1.459

1087.311
1089.947
1090.477
1093.952
1095.543
1097.782
1100.648
1100.809
1098.683

1.883
1.863
1.934
1.917
1.898
1.879
1.983
1.956
1.936

3.502
3.398
3.507
3.361
3.32
3.233
3.265
3.278
3.408

EG11

Currency

USD

TRR Index Macaulay

Effective
Val USD U Dur
Yield
87.567
1.831
4.264
87.01
1.811
4.496
85.957
1.792
4.413
84.632
1.772
4.537
85.894
1.845
4.442
85.115
1.825
4.451
84.327
1.806
4.502
83.7
1.787
4.516
86.404
1.877
4.421
86.161
1.858
4.405
83.17
1.839
4.29
83.041
1.821
4.187
82.21
1.801
4.215
83.923
1.847
4.195
83.601
1.807
4.485
82.828
1.788
4.524
83.095
1.832
4.546
81.683
1.813
4.35
81.687
1.793
4.443
79.869
1.774
4.45
79.133
1.804
4.339
79.402
1.785
4.315
80.779
1.766
4.31
80.235
1.747
4.221
79.434
1.727
4.313
79.293
1.73
4.323
80.075
1.711
4.288
82.2
1.692
4.244
82.414
1.673
4.176
83.678
1.803
4.15
84.832
1.784
4.028
86.97
1.765
3.989
86.559
1.746
4.082
86.386
1.762
3.945
86.011
1.743
3.929
88.078
1.724
3.684
87.864
1.705
3.551
87.449
1.686
3.534
88.523
1.729
3.387
87.175
1.71
3.49
86.537
1.691
3.404
86.206
1.672
3.325
87.68
1.77
3.164
86.772
1.751
3.105
85.55
1.731
3.439
84.664
1.711
3.494
86.677
1.777
3.406
85.86
1.757
3.683
87.243
1.738
3.567
85.787
1.719
3.573

Retornos semanales

Treasuries, 1-3
aos

1/5/2001
1/12/2001
1/19/2001
1/26/2001
2/2/2001
2/9/2001
2/16/2001
2/23/2001
3/2/2001
3/9/2001
3/16/2001
3/23/2001
3/30/2001
4/6/2001
4/20/2001
4/27/2001
5/4/2001
5/11/2001
5/18/2001
5/25/2001
6/1/2001
6/8/2001
6/15/2001
6/22/2001
6/29/2001
7/6/2001
7/13/2001
7/20/2001
7/27/2001
8/3/2001
8/10/2001
8/17/2001
8/24/2001
8/31/2001
9/7/2001
9/14/2001
9/21/2001
9/28/2001
10/5/2001
10/12/2001
10/19/2001
10/26/2001
11/2/2001
11/9/2001
11/16/2001
11/23/2001
11/30/2001
12/7/2001
12/14/2001
12/21/2001

-17.3014
18.5486
2.1175
14.8612
7.3594
-0.6889
21.7334
7.2346
7.7304
29.2076
6.9768
6.7962
18.1422
-2.6305
0.1200
16.2111
-10.3930
6.0349
8.0587
11.1210
6.9000
21.2362
17.4849
-21.1820
13.7910
8.9625
18.2354
12.0923
1.3829
19.8472
9.3083
-2.4241
13.7928
14.8046
70.4048
5.3232
11.3675
15.4745
-4.6708
7.2097
16.9373
15.8758
4.9453
-36.1382
-3.9309
43.1631
-24.3607
8.5997
5.0054

US Corporates,
BBB-A rated, 13 aos

-14.3994
13.4348
7.2835
26.9193
7.5446
-1.5667
24.9226
11.4631
12.5801
31.5670
4.8855
12.1597
3.2570
-0.7728
8.2054
20.8475
-9.2667
11.2235
12.0989
15.1415
11.5141
25.7311
16.0091
-21.4579
18.3204
12.5087
23.4531
18.2427
5.3960
26.0795
7.2783
-2.4835
18.7898
14.4111
44.8432
-2.0203
11.5185
15.6263
-4.9191
6.6730
14.8366
6.0994
10.5821
-36.7730
-2.3584
41.4376
-22.1796
1.6471
3.6951

85.305
86.567
86.167
85.565
83.525
83.317
84.502
84.635
85.14
83.972
84.762
85.471
85.019
85.307
85.474
86.421
87.625
88.973
88.893
89.585
90.031
91.211
92.47
93.096
95.165
97.234
95.819
97.657
100.379
98.168
98.075
96.938
97.868
96.846
97.945
98.883
98.229
98.941
98.232
99.201
99.381
97.854
98.546
100.784
102.551
102.026
101.309
100.873
102.452
104.206
104.863
106.495
106.524
107.975

1.7
1.698
1.679
1.66
1.64
1.697
1.678
1.658
1.64
1.75
1.73
1.711
1.691
1.712
1.693
1.674
1.655
1.775
1.755
1.736
1.717
1.771
1.752
1.733
1.714
1.695
1.714
1.697
1.677
1.659
1.883
1.864
1.844
1.825
1.806
1.861
1.842
1.823
1.804
1.841
1.821
1.801
1.782
1.92
1.901
1.882
1.863
1.844
1.854
1.836
1.817
1.798
1.806
1.787

3.599
3.629
3.686
3.667
3.851
3.824
3.795
3.809
3.776
3.893
4.093
4.142
4.202
4.129
4.087
4.087
3.957
4.077
4.175
4.295
4.165
4.203
4.121
3.968
3.993
3.883
3.947
3.788
3.734
3.566
3.513
3.481
3.64
3.622
3.494
3.261
3.297
3.211
3.195
3.073
3.203
3.289
3.251
3.15
3.121
3.092
3.105
3.137
3.044
2.901
2.865
2.774
2.844
2.733

12/28/2001
1/4/2002
1/11/2002
1/18/2002
1/25/2002
2/1/2002
2/8/2002
2/15/2002
2/22/2002
3/1/2002
3/8/2002
3/15/2002
3/22/2002
4/5/2002
4/12/2002
4/19/2002
4/26/2002
5/3/2002
5/10/2002
5/17/2002
5/24/2002
5/31/2002
6/7/2002
6/14/2002
6/21/2002
6/28/2002
7/5/2002
7/12/2002
7/19/2002
7/26/2002
8/2/2002
8/9/2002
8/16/2002
8/23/2002
8/30/2002
9/6/2002
9/13/2002
9/20/2002
9/27/2002
10/4/2002
10/11/2002
10/18/2002
10/25/2002
11/1/2002
11/8/2002
11/15/2002
11/22/2002
11/29/2002
12/6/2002
12/13/2002
12/20/2002
12/27/2002
1/3/2003
1/10/2003

6.6864
1.9037
45.8829
-8.7204
-13.7557
11.0605
15.6630
1.4979
3.7516
-10.2887
-25.4154
1.4309
-6.2841
37.0910
13.1930
7.0547
16.1389
8.3777
2.6310
-10.5341
12.6586
11.3582
8.4553
25.7918
7.9611
3.3498
3.7961
34.5131
9.8676
26.9300
18.4700
-3.3280
-12.1294
9.5531
5.2036
8.4530
3.1639
10.8668
10.7705
5.3187
-2.1626
-16.3923
13.4463
23.6427
-2.1983
-4.9232
-10.0433
6.1997
17.7388
3.6145
13.7129
16.6523
-12.8923
1.0816

10.3158
6.9495
54.0335
-8.4541
-10.9710
-4.8262
-7.0356
-3.3605
-4.3828
2.4660
-17.3397
7.4678
-3.0696
37.9508
12.5220
17.7897
-3.5305
-12.8522
12.8525
-10.7996
29.6674
18.1910
8.4101
20.7341
11.3090
-13.8418
4.3107
38.5587
-7.5665
-17.0843
25.9880
-21.3984
-6.1638
39.7776
15.0336
9.2761
13.8537
17.2355
3.4152
-8.3211
-32.1497
-20.3316
29.8951
41.4458
26.1894
19.2403
9.9466
9.1290
23.2848
13.0170
24.8286
20.2211
-9.0093
13.3299

109.405
111.207
110.439
111.577
111.427
111.741
111.652
114.572
111.296

1.768
1.75
1.907
1.889
1.87
1.851
1.933
1.914
1.894

2.69
2.618
2.655
2.561
2.529
2.49
2.402
2.341
2.549

1/17/2003
1/24/2003
1/31/2003
2/7/2003
2/14/2003
2/21/2003
2/28/2003
3/7/2003
3/14/2003

8.8746
6.8910
-2.0588
9.8050
1.2341
2.0908
9.3882
12.6452
-10.6639

18.4134
13.4010
2.5595
17.9607
7.8441
11.1886
14.4999
0.7634
-9.5726

7.19
206

8.60
261

7.19

8.60

Retorno prom.
Varianza
Covarianza (Treas, Corp)
Covarianza (Treas, EMU Gov)
Covarianza (Corp, EMU Gov))
Retorno prom.

Treasuries, 1-3
aos G1O2

Retorno Promedio
Var-Cov
Activo 1
Activo 2
Activo 3
Riesgo Portafolio
Retorno Portafolio
Tangente
Rf
Ponderadores
Activo 1
Activo 2
Activo 3

US
Corporates,
BBB-A rated,
1-3 aos C1C0

7.2
Activo 1

8.6
Activo 2

206
174
491
25
14.63
0.431
3.75
1.0000
0.0000
0.8068
0.1932

174
261
379

EMU Direct
Governments, AAA
Rated, 1-3 aos

-28.3146
-47.1140
-55.6982
114.6930
-37.8691
-38.4872
-32.2630
409.1639
-13.6409
-84.5946
-7.7603
-40.8822
189.0633
-18.1503
-38.4489
18.1856
-59.2997
0.2550
-69.3868
-38.3470
19.2637
142.6528
-29.7119
-40.8071
-8.8321
66.1685
283.6011
14.4566
119.3541
102.8703
259.1089
-21.8787
-9.8898
-20.2853
238.8679
-11.8958
-21.8682
87.9306
-55.2517
-31.8444
-18.0992
139.7005
-41.9664
-52.4218
-41.9685
234.5999
-39.0315
128.0405
-58.6294

-25.4588
113.4215
-21.4467
-30.6396
-71.9215
-12.1744
107.3499
8.5147
36.1293
-51.4857
62.3620
53.9343
-24.1534
19.1907
10.6939
76.7961
104.3209
119.8697
-4.5720
49.4331
29.3823
95.9608
102.9955
41.8590
209.7611
202.3966
-53.6029
166.1125
309.7061
-69.0028
-4.8113
-45.6611
63.9092
-42.2333
79.2269
63.7674
-29.2639
45.3837
-31.2930
66.1875
9.8761
-55.5803
44.0733
217.3397
144.9853
-23.4771
-30.7901
-20.1291
122.8794
139.9614
38.5136
121.8683
1.4257
101.1363

97.3277
132.2504
-30.3449
69.9560
-6.7607
15.7339
-4.0603
276.3783
-78.3646
39.81
9349

Desv Estndar
14

16

97

24.4594264
14.286581
0.44099893
3.5
1
0
0.81779185
0.18220815

25.2487573
14.6305946
0.43093584
3.75
1
0
0.80676844
0.19323156

174
491
379
39.81
EMU Direct
Governments, AAA
Rated, 1-3 aos
EG11

39.8
Activo 3
491
379
9,349
Copiar valores de los resultados
Riesgo Portafolio
23.7663053
Retorno Portafolio
13.9774144
Tangente
0.45137072
Rf
3.25
Ponderadores
1
Activo 1
0
Activo 2
0.82769864
Activo 3
0.17230136